Round shot just flies through, though they can bounce if they fall short and still knock a few guys over the head. Best for bringing down walls.
There's a whole range of ammunition types to be researched, though some require a low muzzle velocity (mortar and howitzer only).
For the cannon there's round shot, canister shot and I think eventually explosive (percushion) shells. Other options are carcass (flaming goo), quicklime (chemical burns) and explosive (set fuse) shots. For ships round-, grape- and chainshot are available.
Of the top of my hat, so I probably missed something.
